Self-Regulatory Organizations; Notice of Filing of Proposed Rule Change by NYSE Amex LLC Amending NYSE Amex Equities Rule 1000 To Allow Exchange Systems to Access CCS Interest to Partially Fill an Incoming Limit Order, 40273-40278 [E9-19140]
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Federal Register / Vol. 74, No. 153 / Tuesday, August 11, 2009 / Notices
DMM units. In addition, by prohibiting
communications regarding the selection
process between members of the Panel
and DMM units, the Exchange will be
able to immediately reinforce
impartiality and fairness during the
selection process.16 Accordingly, the
Commission designates the proposed
rule change operative upon filing with
the Commission.
At any time within 60 days of the
filing of such proposed rule change, the
Commission may summarily abrogate
such rule change if it appears to the
Commission that such action is
necessary or appropriate in the public
interest, for the protection of investors,
or otherwise in furtherance of the
purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
sroberts on DSKD5P82C1PROD with NOTICES
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–NYSEAMEX–2009–49 on
the subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–NYSEAMEX–2009–49. This
file number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
16 For purposes only of waiving the operative
delay for this proposal, the Commission has
considered the proposed rule’s impact on
efficiency, competition, and capital formation. See
15 U.S.C. 78c(f).
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20:51 Aug 10, 2009
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provisions of 5 U.S.C. 552, will be
available for inspection and copying in
the Commission’s Public Reference
Room, 100 F Street, NE., Washington,
DC 20549, on official business days
between the hours of 10 a.m. and 3 p.m.
Copies of the filing will also be available
for inspection and copying at the
principal office of the self-regulatory
organization. All comments received
will be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–
NYSEAMEX–2009–49 and should be
submitted on or before September 1,
2009.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.17
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–19120 Filed 8–10–09; 8:45 am]
BILLING CODE 8010–01–P
[Release No. 34–60428; File No. SR–
NYSEAmex–2009–46]
Self-Regulatory Organizations; Notice
of Filing of Proposed Rule Change by
NYSE Amex LLC Amending NYSE
Amex Equities Rule 1000 To Allow
Exchange Systems to Access CCS
Interest to Partially Fill an Incoming
Limit Order
August 4, 2009.
Pursuant to Section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on July 20,
2009, NYSE Amex LLC (the ‘‘Exchange’’
or ‘‘NYSE Amex’’) filed with the
Securities and Exchange Commission
(the ‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the Exchange. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
NYSE Amex Equities Rule 1000 to allow
Exchange systems to access CCS interest
17 17
CFR 200.30–3(a)(12).
U.S.C.78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
1 15
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Fmt 4703
to partially fill an incoming limit order.
The text of the proposed rule change is
available at the Exchange, the
Commission’s Public Reference Room,
and https://www.nyse.com.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of those
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
SECURITIES AND EXCHANGE
COMMISSION
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NYSE Amex LLC (‘‘NYSE Amex’’ or
the ‘‘Exchange’’), formerly the American
Stock Exchange LLC, proposes to amend
NYSE Amex Equities Rule 1000 to allow
Exchange systems to access CCS interest
to partially fill an incoming limit order.
The Exchange notes that parallel
changes are proposed to be made to the
rules of New York Stock Exchange
LLC.4
Background
NYSE Amex adopted sweeping
changes to its market rules and
execution technology designed to
improve execution quality on the
Exchange as a result of its merger with
the New York Stock Exchange LLC.5
Among the elements of the adopted
enhanced Exchange market model,
NYSE Amex eliminated the function of
specialists on the Exchange creating a
4 See
SR–NYSE–2009–71.
Euronext acquired The Amex
Membership Corporation (‘‘AMC’’) pursuant to an
Agreement and Plan of Merger, dated January 17,
2008 (the ‘‘Merger’’). In connection with the Merger,
the Exchange’s predecessor, the American Stock
Exchange LLC (‘‘Amex’’), a subsidiary of AMC,
became a subsidiary of NYSE Euronext called NYSE
Alternext US LLC. Securities Exchange Act Release
No. 58673 (September 29, 2008), 73 FR 57707
(October 3, 2008) (SR–NYSE–2008–60 and SR–
Amex–2008–62) (approving the Merger).
Subsequently NYSE Alternext US LLC was renamed
NYSE Amex LLC and continues to operate as a
national securities exchange registered under
Section 6 of the Securities Exchange Act of 1934,
as amended (the ‘‘Act’’). NYSE Alternext US LLC
was subsequently renamed NYSE Amex LLC. See
Securities Exchange Act Release No. 59575 (March
13, 2009), 74 FR 11803 (March 19, 2009) (SR–
NYSEALTR–2009–24).
5 NYSE
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new category of market participant, the
Designated Market Maker or DMM. The
DMM, like specialists, have affirmative
obligations to make an orderly market,
including continuous quoting
requirements and obligations to re-enter
the market when reaching across to
execute against trading interest. In view
of the Exchange’s electronic execution
functionality, the DMM, unlike the
specialist, would no longer be deemed
the agent for every incoming order. The
Exchange also responded to customer
demand to create additional
undisplayed reserve interest.
In another enhancement to the
Exchange’s market model, designed to
encourage DMMs to add liquidity, the
Exchange implemented a system change
that allowed DMMs to create a schedule
of additional non-displayed liquidity at
various price points where the DMM is
willing to interact with interest and
provide price improvement to orders in
the Exchange’s system. This schedule is
known as the DMM Capital
Commitment Schedule (‘‘CCS’’).6 CCS
provides the Display Book® 7 with the
amount of shares that the DMM is
willing to trade at price points outside,
at and inside the Exchange BBO. CCS
interest is separate and distinct from
other DMM interest in that it serves as
the interest of last resort.
When an order is entered for an
amount of shares that exceeds the
liquidity available at the Exchange BBO,
Exchange systems review all the
liquidity available on the Display Book
including CCS interest to determine the
final price point at which the order can
be fully executed (the ‘‘completion
price’’). Exchange systems determine
the completion price by calculating the
unfilled volume of the incoming order
(i.e., the volume of the incoming order
that exceeds the volume available to
execute against it that is then present in
the Exchange bid or offer) and reviewing
the additional displayed and nondisplayed interest available in the
Display Book, which may be at more
than one price point, including the CCS
interest submitted by the DMM unit that
is available at the completion price if
the CCS interest were to participate at
the completion price. Exchange systems
also review any protected bids or offers
on markets other than the Exchange
(‘‘away interest’’) and determines the
price at which the remaining volume of
the contra side order can be executed in
full.
Exchange systems then review the
amount of liquidity offered by CCS to
determine if the number of shares
provided via the DMM’s CCS at the
completion price is less than the
number of CCS shares provided at the
next different price that has interest that
is one minimum price variation
(‘‘MPV’’) (as that term is defined in
Exchange Rule 62 8) or more higher (in
the case of an order to sell) or at the next
different price that has interest that is
one MPV or more lower (in the case of
an order to buy) (hereinafter collectively
referred to as ‘‘better price’’).
completion price is inaccessible to
Exchange systems to trade with any
remaining balance of the incoming order
if Exchange systems included the
DMM’s CCS interest in the execution of
any portion of such order at the better
price. Moreover, Exchange systems will
only access CCS interest to participate
in the execution of an incoming order
where the incoming order will be
executed in full.
6 The provisions of NYSE [sic] Rule 1000 relating
to CCS are in effect pursuant to a pilot that
commenced on October 2008 and is scheduled to
end on October 1, 2009.
7 The Display Book reg; system is an order
management and execution facility. The Display
Book system receives and displays orders to the
DMMs, contains the order information, and
provides a mechanism to execute and report
transactions and publish the results to the
Consolidated Tape. The Display Book system is
connected to a number of other Exchange systems
for the purposes of comparison, surveillance, and
reporting information to customers and other
market data and national market systems.
8 See NYSE [sic] Rule 62, Supplementary Material
.10, which provides that the minimum price
variation (MPV) for quoting and entry of orders in
equity securities admitted to dealings on the
Exchange shall be as follows (see table above):
9 Pursuant to NYSE Amex Equities Rule 72
round-lot executions on the Exchange are allocated
on an equal basis, i.e. parity, among market
participants at a price point unless one of the
participants has established priority. Priority is
established when the participant is the only interest
displayed at the price point when such price is or
becomes the best bid or offer published by the
Exchange. A participant that establishes priority for
the displayed portion of his or her order is allocated
the first 15% of any execution (a minimum of one
round lot). Any DMM non-CCS interest included in
the displayed quantity and non-displayed quantity
is also executed pursuant to NYSE [sic] Rule 72.
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Proposed Amendment to NYSE Amex
Equities Rule 1000
The Exchange proposes to allow
Exchange systems to access CCS interest
to participate in executions where the
incoming order will only be partially
executed. The purpose of this change is
to provide additional liquidity to the
incoming order.
Minimum
As illustrated in the example below,
Price of order or interest
price
variation
because Exchange systems are permitted
to access CCS interest only where an
Less Than $1.00 .......................
$.0001 incoming order would be executed in
$1.00 to 99,999.99 ...................
.01
full, there are times when the incoming
$100,000 or greater ..................
.10
order exhausts the displayed and
reserve interest on the Display Book at
If the volume of CCS interest that
various price points and the remaining
would be accessed is the same at the
shares of the order are quoted. In these
completion price and the better price,
Exchange systems access CCS interest at instances Exchange systems cannot
access the CCS interest available at the
the completion price with CCS interest
price point where the remaining shares
yielding to any other interest in
of the order will be quoted to partially
Exchange systems at the completion
fill the incoming limit order.
price.
If the number of shares that would be
Example of Current CCS Operation
allocated to the CCS interest at the
The Exchange Market is 200 shares
better price is more than the number of
bid at the price of $20.05 and 200 shares
shares that would be allocated to the
offered at a price of $20.10. At the price
DMM’s CCS interest at the completion
points of $20.04, $20.03, $20.02, $20.01
price, then Exchange systems will
access the CCS liquidity available at the and $20.00 there are 100 shares bid. The
CCS interest file is willing to provide
better price with CCS interest yielding
200 shares of additional bid liquidity at
to any other interest in Exchange
each of those price points as well. A
systems (both displayed and
customer sends the Exchange a sell
undisplayed reserve interest) at the
order for 1200 shares with a limit price
better price. Any remaining balance of
of $20.00. Given the current operation of
the incoming order is executed at the
CCS, the order will execute against the
completion price against displayable
and non-displayable interest pursuant to 200 shares at the Exchange bid price of
$20.05 and all the shares indicated in
NYSE Amex Equities Rule 72 (‘‘Priority
italic typeface at each price point down
of Bids and Offers and Allocation of
to the orders limit price of $20.00 will
Executions’’).9
Exchange systems can access CCS
be executed against the order for a total
interest only once to participate in the
execution of 700 shares. The remaining
execution of an incoming order. As
500 shares of the order will be filed in
such, CCS interest that may exist at the
Display Book at its limit price of $20.00.
PO 00000
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40275
CCS interest
Shares bid
Bid price
Offer price
Shares offered
CCS interest
200
200
200
200
200
200
...................................
200
100
100
100
100
100
...................................
$20.05
$20.04
$20.03
$20.02
$20.01
$20.00
$20.10
...................................
...................................
...................................
...................................
...................................
...................................
200
...................................
...................................
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200
...................................
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The Exchange proposes to modify the
operation of CCS interest to allow
Exchange systems to access and execute
CCS interest designated to partially fill
an incoming limit order. This will create
an additional processing action for
Exchange systems. Exchange systems
will continue to review all the liquidity
available on the Display Book and any
away market centers; however, once it
determines that the order cannot be
executed in full, it will also review the
DMM CCS interest file to determine if
any of the liquidity is eligible to
partially fill the incoming limit order at
the price where any remaining shares of
the order would be quoted.
In order for the DMM CCS interest to
participate in a partial execution of an
incoming limit order that exceeds the
liquidity available at the Exchange BBO
the DMM must designate interest
available in the CCS interest file eligible
for partial execution by including a
‘‘PF’’ indicator on the shares provided at
the price point. All liquidity provided
in the CCS interest file will continue to
be eligible to participate in executions
of incoming limit orders in full. Only
DMM CCS interest containing the PF
indicator will be available to participate
in an execution to provide a partial
execution of an incoming limit order
that exceeds the liquidity available at
the Exchange BBO. In this way
incoming limit orders will have another
opportunity to receive fuller executions
prior to quoting.
Example of Proposed CCS Partial Fill at
the Price the Remaining Shares Will be
Quoted
The Exchange Market is 200 shares
bid at the price of $20.05 and 200 shares
offered at a price of $20.10. At the price
points of $20.04, $20.03, $20.02, $20.01
and $20.00 there are 100 shares bid. The
CCS interest file is willing to provide
200 shares of additional bid liquidity at
each of those price points as well. The
CCS interest at $20.00 is designated for
partial fill. A customer sends the
Exchange a sell order for 1200 shares
with a limit price of $20.00. Enabling
Exchange systems to access CCS interest
to partially fill the order, the incoming
limit order will execute against the 200
shares at the Exchange bid price of
$20.05. The order would then execute
against all the shares bid, indicated in
italic typeface at each price point down
to the orders limit price of $20.00,
Exchange systems would execute an
additional 200 shares of the order
against the CCS interest at $20.00
designated for partial fill. The incoming
limit order receives a total execution of
900 shares and the remaining 300 shares
of the order will be filed in Display
Book at its limit price of $20.00.
CCS interest
Shares bid
Bid price
Offer price
Shares
offered
CCS interest
200
200
200
200
200
200 PF
...................................
200
100
100
100
100
100
...................................
$20.05
$20.04
$20.03
$20.02
$20.01
$20.00
$20.10
...................................
...................................
...................................
...................................
...................................
...................................
200
...................................
...................................
...................................
...................................
...................................
...................................
200
...................................
...................................
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When Exchange systems access the
CCS interest in order to provide a partial
execution of an incoming order, CCS
interest will participate at the price
point where the remaining shares will
be quoted as illustrated in the example
above. If, however, the incoming order
reaches a Liquidity Replenishment
Point (‘‘LRP’’) 10 prior to being executed
in full, then Exchange systems will
execute the CCS interest at the LRP
price, as illustrated in the example
10 LRPs are pre-determined price points that
temporarily convert the automatic Exchange market
to an auction market in order to dampen volatility
when the market is experiencing a large price
movement based on a security’s typical trading
characteristics or market conditions over short
periods of time during the trading day. LRPs allow
the DMM to solicit additional liquidity.
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20:51 Aug 10, 2009
Jkt 217001
below, and the remaining shares of the
order will be quoted thereafter at its
limit price. In the case of a market order
it will be quoted at the LRP price.
Example of Proposed CCS Partial Fill at
the LRP Price
CCS Partial Fill at the LRP #1
The Exchange Market is 200 shares
bid at the price of $20.10 and 200 shares
offered at a price of $20.15. The price
point of $20.05 is a designated LRP. At
the price points of $20.09 down to
$20.05 there are 100 shares bid. The
CCS interest file is willing to provide
200 shares of additional bid liquidity at
the price points of $20.09 down to
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$20.05.11 In addition, the CCS interest
file indicates that the interest at the
prices $20.08, $20.07 and $20.05 is
available to provide a partial fill. A
customer sends the Exchange a sell
order for 1200 shares with a limit price
of $20.00. Enabling Exchange systems to
access CCS interest to partially fill the
order, the incoming limit order would
execute against the 200 shares at the
Exchange bid price of $20.10. The order
would then execute against all the
shares bid (indicated in italic typeface)
at each price point down to the LRP
price of $20.05. Exchange systems
11 A DMM cannot provide CCS interest past the
LRPs because that interest will not be executed.
Pursuant to current NYSE [sic] Rules, once an LRP
is reached interest may not trade through the price
point.
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would execute an additional 200 shares
of the order against the CCS interest at
the LRP price of $20.05 for a total 900
shares of the incoming limit order
executed. The original order will
execute a total of 900 shares above its
limit price before the remaining 300
shares of the order is posted on the
Display Book at its limit price of $20.00.
CCS interest
Shares bid
Bid price
Offer price
Shares
offered
CCS interest
200
200
200PF
200PF
200
200 PF
0
0
0
0
0
...................................
200
100
100
100
100
100
0
0
0
0
0
...................................
$20.10
$20.09
$20.08
$20.07
$20.06
$20.05 LRP
$20.04
$20.03
$20.02
$20.01
$20.00
$20.15
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
200
...................................
...................................
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200
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CCS Partial Fill at the LRP # 2
The Exchange Market is 200 shares
bid at the price of $20.10 and 200 shares
offered at a price of $20.15. The price
point of $20.05 is a designated LRP. At
the price points of $20.09 and $20.08
there are 100 shares bid. The CCS
interest file is willing to provide 200
shares of additional bid liquidity at the
price points of $20.09 down to $20.05.
In addition, the CCS interest file
indicates that the interest at the prices
$20.08, $20.07 and $20.05 is available to
provide a partial fill. A customer sends
the Exchange a sell order for 700 12
shares with a limit price of $20.00.
Enabling Exchange systems to access
CCS interest to partially fill the order,
the incoming limit order would execute
against the 200 shares at the Exchange
bid price of $20.10. The order would
then execute 100 shares against the
shares bid at $20.09 and $20.08.
Exchange systems would execute an
additional 200 shares of the order
against the CCS interest at the LRP price
of $20.05 for a total 600 shares of the
incoming limit order executed. The
remaining 100 shares of the order will
be posted on the Display Book at its
limit price of $20.00.
Shares bid
Bid price
Offer price
Shares offered
CCS interest
200
200
200 PF
200 PF
200
200 PF
0
0
0
0
0
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CCS interest
...................................
200
100
100
0
0
0
0
0
0
0
0
...................................
$20.10
$20.09
$20.08
$20.07
$20.06
$20.05 LRP
$20.04
$20.03
$20.02
$20.01
$20.00
$20.15
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
...................................
200
...................................
...................................
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200
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When accessing CCS interest to
partially execute an order, Exchange
systems will not review the liquidity
available at one minimum price
variation better than the execution price
to determine if the number of shares
that CCS interest is willing to provide at
the better price is greater than the
number of shares at the price point
where the order would execute and then
post. The order will be executed against
the CCS interest where the remaining
shares of the order will ultimately be
quoted or in the event an LRP is
reached, at the LRP price.13
Whether the order is executed at the
price where the remaining shares will
be quoted or at the LRP price, Exchange
systems will not access CCS interest
designated PF until all other interest on
the Display Book up to the price point
is executed in full. CCS interest
therefore, remains the interest of last
resort because Exchange systems will
access CCS interest to provide a partial
execution to an incoming limit order
only after all it has satisfied protected
interest on away market centers and all
other interest on the Display Book
eligible to be executed against the order
is executed in full. In all instances
where Exchange systems access CCS to
provide a partial execution of an order,
the customer order is afforded the
ability for price improvement within the
parameters of the rule.
The Exchange therefore proposes to
amend NYSE Amex Equities Rule 1000,
to allow Exchange systems to access
available CCS interest in order to
provide an incoming order with a fuller
execution. The Exchange proposes to
amend NYSE Amex Equities Rule
1000(e)(iii)(A)(4) to include this
provision and renumber former
subparagraph (e)(iii)(A)(4) to
(e)(iii)(A)(5).
12 If the order were for 600 shares Exchange
systems would have executed 200 shares at the bid
price of $20.10, 100 shares at the price of $20.09.
The Exchange will execute the remaining 300
shares at the price of $20.08 against the 100 shares
of ‘‘Shares Bid’’ and CCS interest at the price point.
However, because the 700 share order could not be
completely filled at the price of $20.08 including
CCS interest, it is executed based on the rules
governing partial executions and will thus be
executed as illustrated in the example.
13 If the DMM did not designate the CCS interest
eligible for partial fill, then the CCS interest would
not participate in the execution and the remaining
shares of the order would be quoted.
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The Exchange believes that the instant
proposal to maximize an order’s partial
execution by allowing Exchange
systems to access CCS interest removes
the current impediment from a limit
order accessing all the liquidity
available on the Display Book. The
proposed modification increases the
opportunities for executing a greater
number of shares of the incoming order
and exposes it to additional opportunity
for price improvement. The Exchange
believes that the proposal therefore
contributes to perfect the mechanism of
a free and open market and ultimately
protects investors and the public
interest.
Administrative Amendments to NYSE
Amex Equities Rule 1000
The Exchange further proposes to
include references to its Do Not Ship
Order 14 in NYSE Amex Equities Rule
1000 subparagraphs (e)(ii), (e)(ii)(C) and
(e)(iii)(A)(5) to illustrate the additional
order type that requires the same
execution handling as Reg. NMScompliant IOC.
Finally, the Exchange proposes to
delete the redundant text of NYSE
Amex Equities Rule 1000 subparagraph
(e)(ii)(D) because it restates the
information contained in subparagraph
(e)(ii) above it.
2. Statutory Basis
The basis under the Securities
Exchange Act of 1934 (the ‘‘Act’’) 15 for
these proposed rule changes is the
requirement under Section 6(b)(5) 16
that an Exchange have rules that are
designed to promote just and equitable
principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system and, in
general, to protect investors and the
public interest. The proposed rule
change supports these principles in that
it seeks to protect the investor and the
public interest by allowing an incoming
limit order to execute against all the
liquidity available on the Exchange.
sroberts on DSKD5P82C1PROD with NOTICES
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
14 See
NYSE Amex Equities Rule 13.
U.S.C. 78a.
16 15 U.S.C. 78f(b)(5).
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
No written comments were solicited
or received with respect to the proposed
rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organization consents, the Commission
will:
(A) By order approve the proposed
rule change, or
(B) institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act. In
addition, the Commission seeks
comment on whether the proposed
handling of incoming orders receiving
partial fills that include CCS interest is
consistent with the Act and, in
particular, whether the proposed rule
changes are designed to promote just
and equitable principles of trade and, in
general, to protect investors and the
public interest.
Specifically, in certain situations, the
Exchange’s proposal would allow the
DMM’s CCS interest to participate in
partial fills at the best possible price
(from the DMM’s perspective), even
when this price is inferior to all the nonCCS interest participating in the same
execution. Currently, NYSE Amex’s
rules allow for CCS participation only
when the incoming order will be
completely filled, and the DMM’s CCS
interest may not participate in an
execution at a price inferior to the
completion price.
The Commission notes the fact
pattern presented above under the
heading ‘‘CCS Partial Fill at the LRP #2’’
where, under NYSE Amex’s current
rules, an incoming order of 600 shares
would be completed at $20.08 (200, 100,
and 100 shares of non-CCS interest at
$20.10, $20.09, and $20.08 respectively,
and 200 shares of CCS interest also at
$20.08).17 In contrast, under the
proposal, an incoming order of 700
shares that outsizes the available nonCCS interest would be partially
completed by CCS interest at the LRP
price, and thus would receive an
execution of 200 shares against CCS
interest at $20.05, rather than $20.08,
before the system quotes the residual
100 shares at $20.05, the LRP.18
Absent the proposed rule change, a
700-share incoming order would result
in a partial fill without any CCS
participation, with 300 shares
unexecuted and quoting at the LRP.
Thus, the Commission notes that the
proposal may benefit the incoming
order by immediately and automatically
executing additional shares at the
order’s limit price or at the LRP price,
as applicable. However, the Commission
is interested in commenters’ views on
the proposed expansion of DMMs’ CCS
capabilities for partial fills and, in
particular, on the proposed execution of
CCS interest at the limit price of the
order or the LRP price, as the case may
be, even when no other interest resides
at that price. To illustrate, in the ‘‘CCS
Partial Fill at the LRP #2’’ example
above, the proposal would result in a
CCS interest execution at $20.05 (i.e.,
the LRP price). Is another price more
appropriate? For example, should such
CCS interest be executed at $20.08 (the
last price at which there is non-CCS
interest)? Another price? Why or why
not?
Comments may be submitted by any
of the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–NYSEAmex-2009–46 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street, NE.,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–NYSEAmex-2009–46. This
file number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
15 15
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20:51 Aug 10, 2009
Jkt 217001
17 See
PO 00000
supra note 12.
Frm 00123
Fmt 4703
18 See
Sfmt 4703
40277
E:\FR\FM\11AUN1.SGM
supra text accompanying note 12.
11AUN1
40278
Federal Register / Vol. 74, No. 153 / Tuesday, August 11, 2009 / Notices
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for inspection and copying in
the Commission’s Public Reference
Room, 100 F Street, NE., Washington,
DC 20549, on official business days
between the hours of 10 am and 3 pm.
Copies of the filing also will be available
for inspection and copying at the
principal office of the Exchange. All
comments received will be posted
without change; the Commission does
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File
Number SR–NYSEAmex–2009–46 and
should be submitted on or before
September 1, 2009.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.19
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9–19140 Filed 8–10–09; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–60432; File No. SR–FINRA–
2009–053]
Self-Regulatory Organizations;
Financial Industry Regulatory
Authority, Inc.; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Amend Incorporated
NYSE Rules 12 and 282 To Conform to
Amendments Made by NYSE
sroberts on DSKD5P82C1PROD with NOTICES
August 4, 2009.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’ 1 and Rule 19b–4 thereunder,2
notice is hereby given that on July 30,
2009, Financial Industry Regulatory
Authority, Inc. (‘‘FINRA’’) filed with the
Securities and Exchange Commission
(‘‘SEC’’ or ‘‘Commission’’) the proposed
rule change as described in Items I and
II below, which Items have been
prepared by FINRA. FINRA has
designated the proposed rule change as
constituting a ‘‘non-controversial’’ rule
change under paragraph (f)(6) of Rule
19b–4 under the Act,3 which renders
19 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 17 CFR 240.19b–4(f)(6).
1 15
VerDate Nov<24>2008
20:51 Aug 10, 2009
Jkt 217001
the proposal effective upon filing with
the Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
FINRA is proposing to amend
Incorporated NYSE Rules 12 (‘‘Business
Day’’) and 282 (Buy-in Procedures) 4 to
conform to rule changes by the New
York Stock Exchange LLC (‘‘NYSE’’) to
its versions of Rules 12 and 282.5
The text of the proposed rule change
is available on FINRA’s Web site at
https://www.finra.org, at the principal
office of FINRA and at the
Commission’s Public Reference Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
FINRA included statements concerning
the purpose of and basis for the
proposed rule change and discussed any
comments it received on the proposed
rule change. The text of these statements
may be examined at the places specified
in Item IV below. FINRA has prepared
summaries, set forth in sections A, B,
and C below, of the most significant
aspects of such statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
FINRA is proposing changes to
Incorporated NYSE Rules 12 6 and 282 7
to conform these rules to amendments
made by NYSE to allow customers to
transmit orders for execution on the
NYSE with the settlement instructions
of ‘‘cash’’, ‘‘next day’’ and ‘‘seller’s
4 The current FINRA rulebook consists of (1)
FINRA Rules; (2) NASD Rules; and (3) rules
incorporated from NYSE (‘‘Incorporated NYSE
Rules’’) (together, the NASD Rules and Incorporated
NYSE Rules are referred to as the ‘‘Transitional
Rulebook’’). While the NASD Rules generally apply
to all FINRA members, the Incorporated NYSE
Rules apply only to those members of FINRA that
are also members of the NYSE (‘‘Dual Members’’).
The FINRA Rules apply to all FINRA members,
unless such rules have a more limited application
by their terms. For more information about the
rulebook consolidation process, see FINRA
Information Notice, March 12, 2008 (Rulebook
Consolidation Process).
5 See Securities Exchange Act Release No. 60216
(July 1, 2009), 74 FR 33283 (July 10, 2009) (Notice
of Filing and Immediate Effectiveness of SR–NYSE–
2009–59).
6 Incorporated NYSE Rule 12 defines the term
‘‘business day.’’
7 Incorporated NYSE Rule 282 sets forth buy-in
procedures.
PO 00000
Frm 00124
Fmt 4703
Sfmt 4703
option’’ (collectively referred to herein
as ‘‘non-regular way settlement’’)
directly to a Floor broker for manual
execution.
According to the NYSE filing,8 after
adopting amendments in March 2009
requiring that all orders submitted to the
NYSE be submitted for regular way
settlement (i.e., settlement on the third
business day following trade date),9 the
NYSE recognized that there was a
continuing need for the availability of
orders with non-regular way settlement
instructions. NYSE customers have
expressed that certain trading strategies
and/or expiration of certain trading
instruments (e.g., rights and warrants)
require the ability to submit orders to
the NYSE that contain instructions for
execution with non-regular way
settlement. To accommodate the needs
of its customers, the NYSE adopted
NYSE Rule 14 (Non-Regular Way
Settlement Instructions for Orders) to
allow customers to directly transmit an
order containing instructions for cash,
next day and seller’s option settlement
to a Floor broker for representation in
the trading crowd. In addition, the
NYSE added Rule 14 references to
several NYSE rules that relate in some
way to these settlement instructions.
Under the NYSE filing, references to
proposed NYSE Rule 14 (Non-Regular
Way Settlement Instructions for Orders)
and non-regular way settlement
instructions were added to NYSE Rule
12 (‘‘Business Day’’), and specific
provisions related to orders submitted
with cash settlement instructions were
added to NYSE Rule 282 (Buy-in
Procedures).
FINRA is making conforming changes
to Incorporated NYSE Rules 12 and 282
to ensure consistency with NYSE’s
versions of Rules 12 and 282.10
8 See
supra note 5.
Securities Exchange Act Release No. 59446
(February 25, 2009), 74 FR 9323 (March 3, 2009)
(Notice of Filing and Immediate Effectiveness of
SR–NYSE–2009–17).
10 Pursuant to Rule 17d–2 under the Exchange
Act, NASD, NYSE, and NYSE Regulation, Inc.,
entered into an agreement (‘‘Agreement’’) to reduce
regulatory duplication for firms that are Dual
Members by allocating certain regulatory
responsibilities for selected NYSE rules from NYSE
Regulation to FINRA. The Agreement includes a list
of all those rules (‘‘Common Rules’’) for which
FINRA has assumed examination, enforcement and
surveillance responsibilities under the Agreement
relating to compliance by Dual Members to the
extent that such responsibilities involve member
firm regulation. See Securities Exchange Act
Release No. 56148 (July 26, 2007), 72 FR 42146
(August 1, 2007) (Notice of Filing and Order
Approving and Declaring Effective a Plan for the
Allocation of Regulatory Responsibilities). The
Common Rules are the same NYSE rules that
FINRA has incorporated into its rulebook. See
Securities Exchange Act Release No. 56147 (July 26,
2007), 72 FR 42166 (August 1, 2007) (Notice of
Filing and Order Granting Accelerated Approval of
9 See
E:\FR\FM\11AUN1.SGM
11AUN1
]]>Agencies
[Federal Register Volume 74, Number 153 (Tuesday, August 11, 2009)]
[Notices]
[Pages 40273-40278]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E9-19140]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-60428; File No. SR-NYSEAmex-2009-46]
Self-Regulatory Organizations; Notice of Filing of Proposed Rule
Change by NYSE Amex LLC Amending NYSE Amex Equities Rule 1000 To Allow
Exchange Systems to Access CCS Interest to Partially Fill an Incoming
Limit Order
August 4, 2009.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that, on July 20, 2009, NYSE Amex LLC (the ``Exchange'' or ``NYSE
Amex'') filed with the Securities and Exchange Commission (the
``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been prepared by the Exchange. The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C.78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to amend NYSE Amex Equities Rule 1000 to
allow Exchange systems to access CCS interest to partially fill an
incoming limit order. The text of the proposed rule change is available
at the Exchange, the Commission's Public Reference Room, and https://www.nyse.com.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of, and basis for, the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of those statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant parts of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
NYSE Amex LLC (``NYSE Amex'' or the ``Exchange''), formerly the
American Stock Exchange LLC, proposes to amend NYSE Amex Equities Rule
1000 to allow Exchange systems to access CCS interest to partially fill
an incoming limit order.
The Exchange notes that parallel changes are proposed to be made to
the rules of New York Stock Exchange LLC.\4\
---------------------------------------------------------------------------
\4\ See SR-NYSE-2009-71.
---------------------------------------------------------------------------
Background
NYSE Amex adopted sweeping changes to its market rules and
execution technology designed to improve execution quality on the
Exchange as a result of its merger with the New York Stock Exchange
LLC.\5\ Among the elements of the adopted enhanced Exchange market
model, NYSE Amex eliminated the function of specialists on the Exchange
creating a
[[Page 40274]]
new category of market participant, the Designated Market Maker or DMM.
The DMM, like specialists, have affirmative obligations to make an
orderly market, including continuous quoting requirements and
obligations to re-enter the market when reaching across to execute
against trading interest. In view of the Exchange's electronic
execution functionality, the DMM, unlike the specialist, would no
longer be deemed the agent for every incoming order. The Exchange also
responded to customer demand to create additional undisplayed reserve
interest.
---------------------------------------------------------------------------
\5\ NYSE Euronext acquired The Amex Membership Corporation
(``AMC'') pursuant to an Agreement and Plan of Merger, dated January
17, 2008 (the ``Merger''). In connection with the Merger, the
Exchange's predecessor, the American Stock Exchange LLC (``Amex''),
a subsidiary of AMC, became a subsidiary of NYSE Euronext called
NYSE Alternext US LLC. Securities Exchange Act Release No. 58673
(September 29, 2008), 73 FR 57707 (October 3, 2008) (SR-NYSE-2008-60
and SR-Amex-2008-62) (approving the Merger). Subsequently NYSE
Alternext US LLC was renamed NYSE Amex LLC and continues to operate
as a national securities exchange registered under Section 6 of the
Securities Exchange Act of 1934, as amended (the ``Act''). NYSE
Alternext US LLC was subsequently renamed NYSE Amex LLC. See
Securities Exchange Act Release No. 59575 (March 13, 2009), 74 FR
11803 (March 19, 2009) (SR-NYSEALTR-2009-24).
---------------------------------------------------------------------------
In another enhancement to the Exchange's market model, designed to
encourage DMMs to add liquidity, the Exchange implemented a system
change that allowed DMMs to create a schedule of additional non-
displayed liquidity at various price points where the DMM is willing to
interact with interest and provide price improvement to orders in the
Exchange's system. This schedule is known as the DMM Capital Commitment
Schedule (``CCS'').\6\ CCS provides the Display Book[supreg] \7\ with
the amount of shares that the DMM is willing to trade at price points
outside, at and inside the Exchange BBO. CCS interest is separate and
distinct from other DMM interest in that it serves as the interest of
last resort.
---------------------------------------------------------------------------
\6\ The provisions of NYSE [sic] Rule 1000 relating to CCS are
in effect pursuant to a pilot that commenced on October 2008 and is
scheduled to end on October 1, 2009.
\7\ The Display Book\[reg]\ system is an order management and
execution facility. The Display Book system receives and displays
orders to the DMMs, contains the order information, and provides a
mechanism to execute and report transactions and publish the results
to the Consolidated Tape. The Display Book system is connected to a
number of other Exchange systems for the purposes of comparison,
surveillance, and reporting information to customers and other
market data and national market systems.
---------------------------------------------------------------------------
When an order is entered for an amount of shares that exceeds the
liquidity available at the Exchange BBO, Exchange systems review all
the liquidity available on the Display Book including CCS interest to
determine the final price point at which the order can be fully
executed (the ``completion price''). Exchange systems determine the
completion price by calculating the unfilled volume of the incoming
order (i.e., the volume of the incoming order that exceeds the volume
available to execute against it that is then present in the Exchange
bid or offer) and reviewing the additional displayed and non-displayed
interest available in the Display Book, which may be at more than one
price point, including the CCS interest submitted by the DMM unit that
is available at the completion price if the CCS interest were to
participate at the completion price. Exchange systems also review any
protected bids or offers on markets other than the Exchange (``away
interest'') and determines the price at which the remaining volume of
the contra side order can be executed in full.
Exchange systems then review the amount of liquidity offered by CCS
to determine if the number of shares provided via the DMM's CCS at the
completion price is less than the number of CCS shares provided at the
next different price that has interest that is one minimum price
variation (``MPV'') (as that term is defined in Exchange Rule 62 \8\)
or more higher (in the case of an order to sell) or at the next
different price that has interest that is one MPV or more lower (in the
case of an order to buy) (hereinafter collectively referred to as
``better price'').
---------------------------------------------------------------------------
\8\ See NYSE [sic] Rule 62, Supplementary Material .10, which
provides that the minimum price variation (MPV) for quoting and
entry of orders in equity securities admitted to dealings on the
Exchange shall be as follows (see table above):
------------------------------------------------------------------------
Minimum
Price of order or interest price
variation
------------------------------------------------------------------------
Less Than $1.00............................................ $.0001
$1.00 to 99,999.99......................................... .01
$100,000 or greater........................................ .10
------------------------------------------------------------------------
If the volume of CCS interest that would be accessed is the same at
the completion price and the better price, Exchange systems access CCS
interest at the completion price with CCS interest yielding to any
other interest in Exchange systems at the completion price.
If the number of shares that would be allocated to the CCS interest
at the better price is more than the number of shares that would be
allocated to the DMM's CCS interest at the completion price, then
Exchange systems will access the CCS liquidity available at the better
price with CCS interest yielding to any other interest in Exchange
systems (both displayed and undisplayed reserve interest) at the better
price. Any remaining balance of the incoming order is executed at the
completion price against displayable and non-displayable interest
pursuant to NYSE Amex Equities Rule 72 (``Priority of Bids and Offers
and Allocation of Executions'').\9\
---------------------------------------------------------------------------
\9\ Pursuant to NYSE Amex Equities Rule 72 round-lot executions
on the Exchange are allocated on an equal basis, i.e. parity, among
market participants at a price point unless one of the participants
has established priority. Priority is established when the
participant is the only interest displayed at the price point when
such price is or becomes the best bid or offer published by the
Exchange. A participant that establishes priority for the displayed
portion of his or her order is allocated the first 15% of any
execution (a minimum of one round lot). Any DMM non-CCS interest
included in the displayed quantity and non-displayed quantity is
also executed pursuant to NYSE [sic] Rule 72.
---------------------------------------------------------------------------
Exchange systems can access CCS interest only once to participate
in the execution of an incoming order. As such, CCS interest that may
exist at the completion price is inaccessible to Exchange systems to
trade with any remaining balance of the incoming order if Exchange
systems included the DMM's CCS interest in the execution of any portion
of such order at the better price. Moreover, Exchange systems will only
access CCS interest to participate in the execution of an incoming
order where the incoming order will be executed in full.
Proposed Amendment to NYSE Amex Equities Rule 1000
The Exchange proposes to allow Exchange systems to access CCS
interest to participate in executions where the incoming order will
only be partially executed. The purpose of this change is to provide
additional liquidity to the incoming order.
As illustrated in the example below, because Exchange systems are
permitted to access CCS interest only where an incoming order would be
executed in full, there are times when the incoming order exhausts the
displayed and reserve interest on the Display Book at various price
points and the remaining shares of the order are quoted. In these
instances Exchange systems cannot access the CCS interest available at
the price point where the remaining shares of the order will be quoted
to partially fill the incoming limit order.
Example of Current CCS Operation
The Exchange Market is 200 shares bid at the price of $20.05 and
200 shares offered at a price of $20.10. At the price points of $20.04,
$20.03, $20.02, $20.01 and $20.00 there are 100 shares bid. The CCS
interest file is willing to provide 200 shares of additional bid
liquidity at each of those price points as well. A customer sends the
Exchange a sell order for 1200 shares with a limit price of $20.00.
Given the current operation of CCS, the order will execute against the
200 shares at the Exchange bid price of $20.05 and all the shares
indicated in italic typeface at each price point down to the orders
limit price of $20.00 will be executed against the order for a total
execution of 700 shares. The remaining 500 shares of the order will be
filed in Display Book at its limit price of $20.00.
[[Page 40275]]
----------------------------------------------------------------------------------------------------------------
CCS interest Shares bid Bid price Offer price Shares offered CCS interest
----------------------------------------------------------------------------------------------------------------
................. ................. $20.10 200 200
200 200 $20.05 ................. ................. .................
200 100 $20.04 ................. ................. .................
200 100 $20.03 ................. ................. .................
200 100 $20.02 ................. ................. .................
200 100 $20.01 ................. ................. .................
200 100 $20.00 ................. ................. .................
----------------------------------------------------------------------------------------------------------------
The Exchange proposes to modify the operation of CCS interest to
allow Exchange systems to access and execute CCS interest designated to
partially fill an incoming limit order. This will create an additional
processing action for Exchange systems. Exchange systems will continue
to review all the liquidity available on the Display Book and any away
market centers; however, once it determines that the order cannot be
executed in full, it will also review the DMM CCS interest file to
determine if any of the liquidity is eligible to partially fill the
incoming limit order at the price where any remaining shares of the
order would be quoted.
In order for the DMM CCS interest to participate in a partial
execution of an incoming limit order that exceeds the liquidity
available at the Exchange BBO the DMM must designate interest available
in the CCS interest file eligible for partial execution by including a
``PF'' indicator on the shares provided at the price point. All
liquidity provided in the CCS interest file will continue to be
eligible to participate in executions of incoming limit orders in full.
Only DMM CCS interest containing the PF indicator will be available to
participate in an execution to provide a partial execution of an
incoming limit order that exceeds the liquidity available at the
Exchange BBO. In this way incoming limit orders will have another
opportunity to receive fuller executions prior to quoting.
Example of Proposed CCS Partial Fill at the Price the Remaining Shares
Will be Quoted
The Exchange Market is 200 shares bid at the price of $20.05 and
200 shares offered at a price of $20.10. At the price points of $20.04,
$20.03, $20.02, $20.01 and $20.00 there are 100 shares bid. The CCS
interest file is willing to provide 200 shares of additional bid
liquidity at each of those price points as well. The CCS interest at
$20.00 is designated for partial fill. A customer sends the Exchange a
sell order for 1200 shares with a limit price of $20.00. Enabling
Exchange systems to access CCS interest to partially fill the order,
the incoming limit order will execute against the 200 shares at the
Exchange bid price of $20.05. The order would then execute against all
the shares bid, indicated in italic typeface at each price point down
to the orders limit price of $20.00, Exchange systems would execute an
additional 200 shares of the order against the CCS interest at $20.00
designated for partial fill. The incoming limit order receives a total
execution of 900 shares and the remaining 300 shares of the order will
be filed in Display Book at its limit price of $20.00.
----------------------------------------------------------------------------------------------------------------
CCS interest Shares bid Bid price Offer price Shares offered CCS interest
----------------------------------------------------------------------------------------------------------------
................. ................. $20.10 200 200
200 200 $20.05 ................. ................. .................
200 100 $20.04 ................. ................. .................
200 100 $20.03 ................. ................. .................
200 100 $20.02 ................. ................. .................
200 100 $20.01 ................. ................. .................
200 PF 100 $20.00 ................. ................. .................
----------------------------------------------------------------------------------------------------------------
When Exchange systems access the CCS interest in order to provide a
partial execution of an incoming order, CCS interest will participate
at the price point where the remaining shares will be quoted as
illustrated in the example above. If, however, the incoming order
reaches a Liquidity Replenishment Point (``LRP'') \10\ prior to being
executed in full, then Exchange systems will execute the CCS interest
at the LRP price, as illustrated in the example below, and the
remaining shares of the order will be quoted thereafter at its limit
price. In the case of a market order it will be quoted at the LRP
price.
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\10\ LRPs are pre-determined price points that temporarily
convert the automatic Exchange market to an auction market in order
to dampen volatility when the market is experiencing a large price
movement based on a security's typical trading characteristics or
market conditions over short periods of time during the trading day.
LRPs allow the DMM to solicit additional liquidity.
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Example of Proposed CCS Partial Fill at the LRP Price
CCS Partial Fill at the LRP 1
The Exchange Market is 200 shares bid at the price of $20.10 and
200 shares offered at a price of $20.15. The price point of $20.05 is a
designated LRP. At the price points of $20.09 down to $20.05 there are
100 shares bid. The CCS interest file is willing to provide 200 shares
of additional bid liquidity at the price points of $20.09 down to
$20.05.\11\ In addition, the CCS interest file indicates that the
interest at the prices $20.08, $20.07 and $20.05 is available to
provide a partial fill. A customer sends the Exchange a sell order for
1200 shares with a limit price of $20.00. Enabling Exchange systems to
access CCS interest to partially fill the order, the incoming limit
order would execute against the 200 shares at the Exchange bid price of
$20.10. The order would then execute against all the shares bid
(indicated in italic typeface) at each price point down to the LRP
price of $20.05. Exchange systems
[[Page 40276]]
would execute an additional 200 shares of the order against the CCS
interest at the LRP price of $20.05 for a total 900 shares of the
incoming limit order executed. The original order will execute a total
of 900 shares above its limit price before the remaining 300 shares of
the order is posted on the Display Book at its limit price of $20.00.
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\11\ A DMM cannot provide CCS interest past the LRPs because
that interest will not be executed. Pursuant to current NYSE [sic]
Rules, once an LRP is reached interest may not trade through the
price point.
----------------------------------------------------------------------------------------------------------------
CCS interest Shares bid Bid price Offer price Shares offered CCS interest
----------------------------------------------------------------------------------------------------------------
................. ................. $20.15 200 200
200 200 $20.10 ................. ................. .................
200 100 $20.09 ................. ................. .................
200\PF\ 100 $20.08 ................. ................. .................
200\PF\ 100 $20.07 ................. ................. .................
200 100 $20.06 ................. ................. .................
200 PF 100 $20.05 LRP ................. ................. .................
0 0 $20.04 ................. ................. .................
0 0 $20.03 ................. ................. .................
0 0 $20.02 ................. ................. .................
0 0 $20.01 ................. ................. .................
0 0 $20.00 ................. ................. .................
----------------------------------------------------------------------------------------------------------------
CCS Partial Fill at the LRP 2
The Exchange Market is 200 shares bid at the price of $20.10 and
200 shares offered at a price of $20.15. The price point of $20.05 is a
designated LRP. At the price points of $20.09 and $20.08 there are 100
shares bid. The CCS interest file is willing to provide 200 shares of
additional bid liquidity at the price points of $20.09 down to $20.05.
In addition, the CCS interest file indicates that the interest at the
prices $20.08, $20.07 and $20.05 is available to provide a partial
fill. A customer sends the Exchange a sell order for 700 \12\ shares
with a limit price of $20.00. Enabling Exchange systems to access CCS
interest to partially fill the order, the incoming limit order would
execute against the 200 shares at the Exchange bid price of $20.10. The
order would then execute 100 shares against the shares bid at $20.09
and $20.08. Exchange systems would execute an additional 200 shares of
the order against the CCS interest at the LRP price of $20.05 for a
total 600 shares of the incoming limit order executed. The remaining
100 shares of the order will be posted on the Display Book at its limit
price of $20.00.
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\12\ If the order were for 600 shares Exchange systems would
have executed 200 shares at the bid price of $20.10, 100 shares at
the price of $20.09. The Exchange will execute the remaining 300
shares at the price of $20.08 against the 100 shares of ``Shares
Bid'' and CCS interest at the price point. However, because the 700
share order could not be completely filled at the price of $20.08
including CCS interest, it is executed based on the rules governing
partial executions and will thus be executed as illustrated in the
example.
----------------------------------------------------------------------------------------------------------------
CCS interest Shares bid Bid price Offer price Shares offered CCS interest
----------------------------------------------------------------------------------------------------------------
................. ................. $20.15 200 200
200 200 $20.10 ................. ................. .................
200 100 $20.09 ................. ................. .................
200 \PF\ 100 $20.08 ................. ................. .................
200 \PF\ 0 $20.07 ................. ................. .................
200 0 $20.06 ................. ................. .................
200 PF 0 $20.05 LRP ................. ................. .................
0 0 $20.04 ................. ................. .................
0 0 $20.03 ................. ................. .................
0 0 $20.02 ................. ................. .................
0 0 $20.01 ................. ................. .................
0 0 $20.00 ................. ................. .................
----------------------------------------------------------------------------------------------------------------
When accessing CCS interest to partially execute an order, Exchange
systems will not review the liquidity available at one minimum price
variation better than the execution price to determine if the number of
shares that CCS interest is willing to provide at the better price is
greater than the number of shares at the price point where the order
would execute and then post. The order will be executed against the CCS
interest where the remaining shares of the order will ultimately be
quoted or in the event an LRP is reached, at the LRP price.\13\
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\13\ If the DMM did not designate the CCS interest eligible for
partial fill, then the CCS interest would not participate in the
execution and the remaining shares of the order would be quoted.
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Whether the order is executed at the price where the remaining
shares will be quoted or at the LRP price, Exchange systems will not
access CCS interest designated PF until all other interest on the
Display Book up to the price point is executed in full. CCS interest
therefore, remains the interest of last resort because Exchange systems
will access CCS interest to provide a partial execution to an incoming
limit order only after all it has satisfied protected interest on away
market centers and all other interest on the Display Book eligible to
be executed against the order is executed in full. In all instances
where Exchange systems access CCS to provide a partial execution of an
order, the customer order is afforded the ability for price improvement
within the parameters of the rule.
The Exchange therefore proposes to amend NYSE Amex Equities Rule
1000, to allow Exchange systems to access available CCS interest in
order to provide an incoming order with a fuller execution. The
Exchange proposes to amend NYSE Amex Equities Rule 1000(e)(iii)(A)(4)
to include this provision and renumber former subparagraph
(e)(iii)(A)(4) to (e)(iii)(A)(5).
[[Page 40277]]
The Exchange believes that the instant proposal to maximize an
order's partial execution by allowing Exchange systems to access CCS
interest removes the current impediment from a limit order accessing
all the liquidity available on the Display Book. The proposed
modification increases the opportunities for executing a greater number
of shares of the incoming order and exposes it to additional
opportunity for price improvement. The Exchange believes that the
proposal therefore contributes to perfect the mechanism of a free and
open market and ultimately protects investors and the public interest.
Administrative Amendments to NYSE Amex Equities Rule 1000
The Exchange further proposes to include references to its Do Not
Ship Order \14\ in NYSE Amex Equities Rule 1000 subparagraphs (e)(ii),
(e)(ii)(C) and (e)(iii)(A)(5) to illustrate the additional order type
that requires the same execution handling as Reg. NMS-compliant IOC.
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\14\ See NYSE Amex Equities Rule 13.
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Finally, the Exchange proposes to delete the redundant text of NYSE
Amex Equities Rule 1000 subparagraph (e)(ii)(D) because it restates the
information contained in subparagraph (e)(ii) above it.
2. Statutory Basis
The basis under the Securities Exchange Act of 1934 (the ``Act'')
\15\ for these proposed rule changes is the requirement under Section
6(b)(5) \16\ that an Exchange have rules that are designed to promote
just and equitable principles of trade, to remove impediments to and
perfect the mechanism of a free and open market and a national market
system and, in general, to protect investors and the public interest.
The proposed rule change supports these principles in that it seeks to
protect the investor and the public interest by allowing an incoming
limit order to execute against all the liquidity available on the
Exchange.
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\15\ 15 U.S.C. 78a.
\16\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve the proposed rule change, or
(B) institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. In addition, the Commission seeks
comment on whether the proposed handling of incoming orders receiving
partial fills that include CCS interest is consistent with the Act and,
in particular, whether the proposed rule changes are designed to
promote just and equitable principles of trade and, in general, to
protect investors and the public interest.
Specifically, in certain situations, the Exchange's proposal would
allow the DMM's CCS interest to participate in partial fills at the
best possible price (from the DMM's perspective), even when this price
is inferior to all the non-CCS interest participating in the same
execution. Currently, NYSE Amex's rules allow for CCS participation
only when the incoming order will be completely filled, and the DMM's
CCS interest may not participate in an execution at a price inferior to
the completion price.
The Commission notes the fact pattern presented above under the
heading ``CCS Partial Fill at the LRP 2'' where, under NYSE
Amex's current rules, an incoming order of 600 shares would be
completed at $20.08 (200, 100, and 100 shares of non-CCS interest at
$20.10, $20.09, and $20.08 respectively, and 200 shares of CCS interest
also at $20.08).\17\ In contrast, under the proposal, an incoming order
of 700 shares that outsizes the available non-CCS interest would be
partially completed by CCS interest at the LRP price, and thus would
receive an execution of 200 shares against CCS interest at $20.05,
rather than $20.08, before the system quotes the residual 100 shares at
$20.05, the LRP.\18\
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\17\ See supra note 12.
\18\ See supra text accompanying note 12.
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Absent the proposed rule change, a 700-share incoming order would
result in a partial fill without any CCS participation, with 300 shares
unexecuted and quoting at the LRP. Thus, the Commission notes that the
proposal may benefit the incoming order by immediately and
automatically executing additional shares at the order's limit price or
at the LRP price, as applicable. However, the Commission is interested
in commenters' views on the proposed expansion of DMMs' CCS
capabilities for partial fills and, in particular, on the proposed
execution of CCS interest at the limit price of the order or the LRP
price, as the case may be, even when no other interest resides at that
price. To illustrate, in the ``CCS Partial Fill at the LRP 2''
example above, the proposal would result in a CCS interest execution at
$20.05 (i.e., the LRP price). Is another price more appropriate? For
example, should such CCS interest be executed at $20.08 (the last price
at which there is non-CCS interest)? Another price? Why or why not?
Comments may be submitted by any of the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File Number SR-NYSEAmex-2009-46 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEAmex-2009-46. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule
[[Page 40278]]
change that are filed with the Commission, and all written
communications relating to the proposed rule change between the
Commission and any person, other than those that may be withheld from
the public in accordance with the provisions of 5 U.S.C. 552, will be
available for inspection and copying in the Commission's Public
Reference Room, 100 F Street, NE., Washington, DC 20549, on official
business days between the hours of 10 am and 3 pm. Copies of the filing
also will be available for inspection and copying at the principal
office of the Exchange. All comments received will be posted without
change; the Commission does not edit personal identifying information
from submissions. You should submit only information that you wish to
make available publicly. All submissions should refer to File Number
SR-NYSEAmex-2009-46 and should be submitted on or before September 1,
2009.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\19\
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\19\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E9-19140 Filed 8-10-09; 8:45 am]
BILLING CODE 8010-01-P
